Weekly Swaps Report 06/21/2021

Gross Notional Outstanding by Cleared Status (Millions of USD) - Open Interest Equivalent (Single-Count)

Gross Notional by Cleared Status

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 285,071,983 284,675,924 278,129,137 281,641,272 282,366,550
Cleared** 232,952,920 232,552,066 226,588,039 229,851,804 229,805,335
Uncleared 52,119,063 52,123,858 51,541,098 51,789,468 52,561,214
Total Credit 4,222,191 4,341,661 4,056,267 4,080,812 4,154,658
Cleared 2,174,070 2,220,067 2,222,522 2,196,785 2,202,967
Uncleared 2,048,122 2,121,594 1,833,744 1,884,026 1,951,691
Total FX 52,607,547 53,021,028 53,224,876 55,723,450 54,449,420
Cleared 1,267,524 1,276,863 1,356,468 1,388,232 1,401,084
Uncleared 51,340,022 51,744,164 51,868,408 54,335,218 53,048,336
TOTAL 341,901,721 342,038,612 335,410,279 341,445,533 340,970,627
           
Weekly snapshot, gross notional amount outstanding by asset class and cleared status (millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Gross Notional Outstanding by Cleared Status (Millions of USD) - Open Interest Equivalent (Double-Count)

Gross Notional by Participant Type

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 570,143,966 569,351,847 556,258,274 563,282,543 564,733,100
SDs and MSPs** 421,984,795 419,976,886 408,279,788 413,715,996 414,075,195
Other 148,159,172 149,374,961 147,978,486 149,566,548 150,657,905
Total Credit 8,444,383 8,683,322 8,112,533 8,161,623 8,309,316
SDs and MSPs 5,666,570 5,819,341 5,524,103 5,574,100 5,657,499
Other 2,777,813 2,863,982 2,588,431 2,587,524 2,651,817
Total FX 105,215,093 106,042,055 106,449,752 111,446,899 108,898,839
SDs and MSPs 76,360,154 76,939,701 77,379,976 80,175,138 79,024,152
Other 28,854,939 29,102,354 29,069,775 31,271,761 29,874,687
TOTAL 683,803,442 684,077,225 670,820,559 682,891,066 681,941,255
           
Weekly snapshot, gross notional amount outstanding by asset class and participant type (millions of USD), all products, origins, currencies, tenors, and participant types, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. Because this table shows the aggregated notional values of swaps by participant, the totals on this table are twice those displayed on the "Gross Notional Outstanding by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Ticket Volume by Cleared Status (Transactions) (Single-Count)

Ticket Volume by Cleared Status

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 42,073 58,238 54,574 53,604 24,076
Cleared** 36,892 51,840 48,791 47,607 21,213
Uncleared 5,181 6,398 5,783 5,997 2,863
Total Credit 3,536 5,058 4,863 3,102 3,253
Cleared 3,155 4,592 4,358 2,675 2,848
Uncleared 381 466 505 427 405
Total FX 505,597 548,688 579,496 484,522 527,326
Cleared 30,532 31,286 32,567 32,241 29,241
Uncleared 475,065 517,402 546,929 452,280 498,085
TOTAL 551,205 611,984 638,933 541,228 554,655
           
Weekly total, swap ticket volumes by asset class and cleared status (number of new trades), all products, tenors, and participant types. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Ticket Volume by Participant Type (Transactions) (Double-Count)

Ticket Volume by Participant Type

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 84,145 116,475 109,148 107,208 48,151
SDs and MSPs** 56,056 79,074 75,004 73,200 30,169
Other 28,089 37,401 34,144 34,008 17,982
Total Credit 7,071 10,116 9,726 6,204 6,506
SDs and MSPs 4,092 5,912 5,698 3,761 3,925
Other 2,979 4,204 4,028 2,443 2,581
Total FX 1,011,194 1,097,376 1,158,992 969,043 1,054,652
SDs and MSPs 605,840 655,161 688,276 578,736 631,657
Other 405,354 442,215 470,716 390,307 422,995
TOTAL 1,102,410 1,223,967 1,277,866 1,082,455 1,109,309
           
Weekly total, swap ticket volumes by asset class and participant type (number of new trades), all products and tenors, cleared and uncleared. For cleared swaps, the creation of each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, each trade is attributed to both swap counterparties. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Ticket Volume by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Dollar Volume by Cleared Status (Millions of USD) (Single-Count)

Dollar Volume by Cleared Status

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 6,199,661 7,521,013 8,504,983 10,005,017 2,881,737
Cleared** 5,401,264 6,629,396 7,400,537 8,997,618 2,515,897
Uncleared 798,397 891,617 1,104,445 1,007,399 365,840
Total Credit 200,728 253,193 303,964 189,502 157,945
Cleared 153,636 195,545 230,943 137,928 121,894
Uncleared 47,091 57,648 73,021 51,574 36,051
Total FX 9,699,846 11,437,630 11,577,580 10,701,709 11,560,264
Cleared 196,377 179,891 228,928 208,902 209,277
Uncleared 9,503,469 11,257,739 11,348,652 10,492,808 11,350,988
TOTAL 16,100,235 19,211,837 20,386,527 20,896,228 14,599,947
           
Weekly total, swap dollar volumes by asset class and cleared status (value of all trades in millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Dollar Volume by Participant Type (Millions of USD) (Double-Count)

Dollar Volume by Participant Type

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 12,399,322 15,042,026 17,009,966 20,010,034 5,763,475
SDs and MSPs** 8,792,290 11,155,936 12,964,807 14,341,766 3,782,423
Other 3,607,032 3,886,090 4,045,159 5,668,268 1,981,051
Total Credit 401,455 506,387 607,928 379,003 315,890
SDs and MSPs 228,951 291,316 341,176 219,952 178,783
Other 172,504 215,071 266,753 159,051 137,107
Total FX 19,399,693 22,875,260 23,155,160 21,403,418 23,120,529
SDs and MSPs 14,179,368 17,040,268 17,249,884 15,017,796 16,380,324
Other 5,220,325 5,834,992 5,905,275 6,385,622 6,740,205
TOTAL 32,200,471 38,423,674 40,773,054 41,792,455 29,199,894
           
Weekly total, swap dollar volumes by asset class and participant type (value of all trades in millions of USD), all products and tenors, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Dollar Volume by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Gross Notional Outstanding - Interest Rate (Millions of USD)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 131,281,563 12,150,759 143,432,322
FRA 38,030,185 280,478 38,310,663
OIS 35,635,649 2,063,484 37,699,133
OTHER* 24,857,939 38,066,493 62,924,432
TOTAL 229,805,335 52,561,214 282,366,550
       
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 12,916,964 604,507 4,103,000 1,369,596 1,727,741 1,072,973 21,794,781
Fixed-Float 52,375,819 38,712,692 10,912,977 5,982,464 6,964,263 28,484,107 143,432,322
FRA 13,139,907 19,814,302 3,060,107 13,751 0 2,282,596 38,310,663
OIS 11,131,278 10,566,770 11,353,251 409,006 1,040,468 3,198,359 37,699,133
Swaption 10,019,659 4,705,592 3,351,621 673,650 209,744 161,941 19,122,206
OTHER* 11,044,991 6,039,539 2,645,698 98,397 50,568 2,128,251 22,007,445
TOTAL 110,628,619 80,443,402 35,426,654 8,546,864 9,992,784 37,328,227 282,366,550
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60+ Total
Basis 2,192,997 1,143,264 2,675,912 2,499,133 5,899,012 7,384,464 21,794,781
Fixed-Float 16,100,860 3,836,385 13,623,819 16,701,765 38,045,981 55,123,512 143,432,322
FRA 29,824,797 8,444,985 38,172 131 2,286 292 38,310,663
OIS 18,128,150 1,445,053 4,254,831 3,892,911 4,707,055 5,271,132 37,699,133
Swaption 128,169 3,329 5,216,670 2,616,542 3,780,515 7,376,981 19,122,206
OTHER* 1,155,010 346,522 4,487,299 2,092,648 5,320,826 8,605,140 22,007,445
TOTAL 67,529,983 15,219,540 30,296,702 27,803,130 57,755,675 83,761,520 282,366,550
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 189,798,851 14,264,651 72,764,274 10,036,867
FRA 63,893,531 318,233 12,166,839 242,724
OIS 45,722,046 2,261,527 25,549,251 1,865,442
OTHER* 41,348,303 56,468,054 8,367,576 19,664,932
TOTAL 340,762,731 73,312,464 118,847,940 31,809,965
         
* Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

Notes

Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Gross Notional Outstanding - Credit (Millions of USD)

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index 2,200,980 1,069,579 3,270,559
Asia 60,003 65,038 125,040
Europe 1,253,166 331,660 1,584,826
North America 851,635 616,151 1,467,786
Other 36,177 56,730 92,907
OTHER* 1,987 882,112 884,099
TOTAL 2,202,967 1,951,691 4,154,658
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche 63,466 152,670 0 216,136
Index 468,619 2,491,524 94,280 3,054,423
Asia 0 125,040 0 125,040
Europe 208,654 1,257,647 0 1,466,301
North America 259,964 1,108,837 3,779 1,372,580
Other 0 0 90,501 90,501
OTHER* 91,398 684,541 108,159 884,099
TOTAL 623,483 3,328,735 202,440 4,154,658
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
Index Tranche / Index / Other* 3,066,017 2,591,482 1,339,917 1,311,900
Asia 107,099 109,313 12,906 20,762
Europe 1,963,446 464,779 542,885 198,541
North America 948,130 885,280 755,141 347,022
Other 47,343 1,132,109 28,985 745,574
TOTAL 3,066,017 2,591,482 1,339,917 1,311,900
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche 95,927 219,056 0 31,006 86,284 0
Index 606,005 3,556,599 137,815 331,233 1,426,450 50,746
Asia 0 216,412 0 0 33,669 0
Europe 311,966 1,944,018 0 105,343 571,275 0
North America 294,039 1,396,168 5,046 225,890 821,506 2,512
Other 0 0 132,769 0 0 48,234
OTHER* 115,667 805,411 121,020 67,129 563,671 95,299
TOTAL 817,598 4,581,065 258,835 429,368 2,076,405 146,044
             
* Includes exotic credit products, swaptions, and total return swaps.

Notes

Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Gross Notional Outstanding - FX (Millions of USD)

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 11,950 31,760,356 31,772,306
NDF 1,255,982 3,684,572 4,940,553
Options 65,398 5,633,271 5,698,669
Exotics 25 600,767 600,792
Cross Currency 67,729 11,369,370 11,437,099
TOTAL 1,401,084 53,048,336 54,449,420
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 28,707,154 4,883,984 4,958,174 404,935 10,903,172 49,857,419
EUROPE 14,416,742 154,217 1,824,415 118,661 5,799,360 22,313,395
EUR 7,834,390 84,606 1,487,656 99,865 3,383,353 12,889,870
GBP 4,294,327 42,621 204,578 13,529 1,855,665 6,410,721
CHF 988,023 17,211 106,437 3,925 271,398 1,386,993
OTHER2 1,300,001 9,779 25,743 1,342 288,945 1,625,810
AMERICAS/CARIBBEAN 2,658,778 1,056,186 617,313 21,700 1,118,841 5,472,818
CAD 1,996,640 25,089 285,574 12,754 796,148 3,116,206
BRL 2,951 530,378 175,942 5,760 13,195 728,226
OTHER3 659,187 500,719 155,797 3,186 309,498 1,628,386
ASIA/PACIFIC 10,807,139 3,649,029 2,289,913 109,937 3,744,023 20,600,042
JPY 5,019,554 49,674 866,717 36,815 1,953,780 7,926,540
CNY 1,478,199 165,775 591,240 35,498 110,926 2,381,639
KRW 116,293 829,437 86,115 2,702 79,907 1,114,454
HKD 500,493 5,159 117,882 83 134,333 757,950
AUD 1,951,854 26,873 212,445 13,908 1,032,696 3,237,777
OTHER4 1,740,746 2,572,111 415,514 20,931 432,380 5,181,682
OTHER5 824,495 24,551 226,533 154,637 240,948 1,471,165
EUR/non-USD 2,396,990 32,182 511,848 94,936 361,328 3,397,284
OTHER6 668,161 24,388 228,647 100,921 172,599 1,194,716
TOTAL 31,772,306 4,940,553 5,698,669 600,792 11,437,099 54,449,420
             
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other.
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK.
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS.
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB.
5 Regions within the Other category include the Middle East and Africa.
6 Category includes currency pairs without USD or EUR leg. 
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. 

FX by Product & Tenor (Calendar Days)

Product 0-30 31-90 91-180 181-360 360+ Total
Swaps & Forwards 6,406,270 9,563,122 8,147,796 4,371,980 3,283,138 31,772,306
NDF 1,079,975 1,650,374 1,040,113 680,320 489,771 4,940,553
Options 400,138 839,817 891,282 1,278,663 2,288,769 5,698,669
Exotics 40,399 94,602 83,507 112,491 269,793 600,792
Cross Currency 3,396 8,107 412,262 232,782 10,780,553 11,437,099
TOTAL 7,930,179 12,156,022 10,574,960 6,676,236 17,112,024 54,449,420
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 20,333 42,949,548 3,566 20,571,164
NDF 2,332,604 5,117,988 179,360 2,251,156
Options 130,796 8,758,669 0 2,507,872
Exotics 50 760,308 0 441,226
Cross Currency 89,415 18,864,441 46,043 3,874,300
TOTAL 2,573,198 76,450,954 228,969 29,645,718
         
These tables show a weekly snapshot of gross notional amount outstanding. Individual tables break this down by product type, cleared status, tenor or currency. All numbers in the tables represent millions of USD. All tables include all participant types, tenors and currencies. For cleared swaps, these tables reflect only the legs held by the non-CCP counterparty; using this restriction, the numbers on this table are analogous to the notional value represented by futures open interest.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Ticket Volume - Interest Rate (Transactions)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Basis 316 26 342
Cap/Floor 0 87 87
Exotic 0 201 201
Fixed-Fixed 1 1 2
Fixed-Float 17,777 1,322 19,098
FRA 299 5 304
Inflation 388 26 414
OIS 2,430 250 2,680
Swaption 2 945 947
TOTAL 21,213 2,863 24,076
       

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 169 10 14 33 88 28 342
Cap/Floor 76 10 0 0 1 0 87
Exotic 141 20 4 3 5 28 201
Fixed-Fixed 0 0 0 0 0 2 2
Fixed-Float 6,118 3,880 419 406 1,553 6,723 19,098
FRA 16 18 199 0 0 71 304
Inflation 130 200 78 0 2 4 414
OIS 536 574 940 4 11 615 2,680
Swaption 695 127 33 39 37 16 947
TOTAL 7,882 4,839 1,687 485 1,697 7,487 24,076
               

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60-120 120-360 360+ Total
Basis 17 4 42 43 118 77 39 2 342
Cap/Floor 5 1 12 24 38 5 2 0 87
Exotic 24 17 35 6 60 34 24 1 201
Fixed-Fixed 1 0 0 1 0 0 0 0 2
Fixed-Float 1,100 298 1,314 2,100 6,401 5,762 2,067 57 19,098
FRA 261 40 2 0 0 0 1 0 304
Inflation 0 0 13 11 130 159 93 8 414
OIS 152 60 298 385 725 781 264 16 2,680
Swaption 16 0 42 75 109 335 370 0 947
TOTAL 1,576 420 1,758 2,644 7,581 7,152 2,860 84 24,076
                   

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 22,380 1,460 13,174 1,184
OTHER* 4,442 1,888 2,431 1,194
TOTAL 26,822 3,348 15,605 2,378
         
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, Inflation, OIS, and Swaption.

Notes

Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Ticket Volume - Credit (Transactions)

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche 0 37 37
Europe / North America 0 37 37
Index 2,843 174 3,017
Europe / Other 1,214 25 1,239
North America / Asia 1,629 149 1,778
OTHER* 5 194 199
TOTAL 2,848 405 3,253
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche 24 13 0 37
Index 1,413 1,497 107 3,017
OTHER* 55 101 43 199
TOTAL 1,492 1,611 150 3,253
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
Index Tranche 0 38 0 36
Index 3,456 214 2,230 134
OTHER* 10 207 0 181
TOTAL 3,466 459 2,230 351
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche 25 13 0 23 13 0
Index 1,727 1,828 115 1,099 1,166 99
OTHER* 60 113 44 50 89 42
TOTAL 1,812 1,954 159 1,172 1,268 141
             
* Includes exotic credit products, swaptions, and total return swaps.

Notes

Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transactional Ticket Volume - FX (Transactions)

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 267 395,727 395,994
NDF 28,436 84,136 112,572
Options 504 12,069 12,572
Exotics 1 5,493 5,494
Cross Currency 34 660 694
TOTAL 29,241 498,085 527,326
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 309,804 110,360 11,162 4,134 647 436,106
EUROPE 142,924 734 2,474 1,862 215 148,209
EUR 61,806 258 1,801 1,089 143 65,097
GBP 38,659 164 505 766 44 40,138
CHF 12,896 132 89 2 5 13,124
OTHER2 29,563 180 79 5 23 29,850
AMERICAS/CARIBBEAN 33,569 18,255 2,143 85 125 54,177
CAD 20,718 80 1,066 34 44 21,942
BRL 64 7,703 488 11 2 8,268
OTHER3 12,787 10,471 589 40 79 23,966
ASIA/PACIFIC 110,488 90,957 6,071 952 292 208,760
JPY 24,237 184 1,421 474 85 26,401
CNY 20,164 1,318 996 55 60 22,593
KRW 891 23,861 305 36 17 25,110
HKD 5,738 77 29 0 4 5,848
AUD 22,108 142 1,325 271 80 23,926
OTHER4 37,350 65,375 1,996 116 46 104,882
OTHER5 22,822 414 474 1,235 15 24,960
EUR/non-USD 50,385 1,064 922 487 7 52,865
OTHER6 35,805 1,148 488 873 40 38,354
TOTAL 395,994 112,572 12,572 5,494 694 527,326
             
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other.
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK.
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS.
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB.
5 Regions within the Other category include the Middle East and Africa.
6 Category includes currency pairs without USD or EUR leg. 
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. 

FX by Product & Tenor (Calendar Days)

Product 0-7 8-30 31-90 91-180 180+ Total
Swaps & Forwards 158,959 126,117 61,616 37,420 11,883 395,994
NDF 5,271 33,808 57,331 13,511 2,650 112,572
Options 1,640 4,228 3,295 1,301 2,109 12,572
Exotics 74 627 1,184 1,097 2,512 5,494
Cross Currency 0 1 8 36 649 694
TOTAL 165,944 164,781 123,434 53,365 19,803 527,326
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 524 431,804 10 359,650
NDF 52,375 121,436 4,497 46,836
Options 1,007 17,238 0 6,900
Exotics 2 6,163 0 4,823
Cross Currency 54 1,055 14 265
TOTAL 53,962 577,695 4,521 418,474
         
These tables show swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All new trades are included in ticket volumes.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Dollar Volume - Interest Rate (Millions of USD)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 1,736,990 130,829 1,867,819
FRA 104,898 3,587 108,485
OIS 549,147 47,681 596,828
OTHER* 124,862 183,743 308,605
TOTAL 2,515,897 365,840 2,881,737
       
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Fixed-Float 890,170 386,923 99,045 32,518 134,368 324,795 1,867,819
OTHER* 420,539 251,782 236,915 12,188 14,768 77,727 1,013,918
TOTAL 1,310,709 638,705 335,960 44,706 149,136 402,522 2,881,737
               
* Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60-120 120-360 360+ Total
Fixed-Float 368,133 134,293 401,215 218,024 384,248 297,977 62,570 1,359 1,867,819
OTHER* 447,284 44,692 117,795 121,285 132,289 121,460 28,549 564 1,013,918
TOTAL 815,418 178,985 519,010 339,309 516,537 419,437 91,118 1,923 2,881,737
                   
* Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 2,337,294 139,060 1,136,686 122,598
OTHER* 1,000,847 305,222 556,967 164,800
TOTAL 3,338,142 444,282 1,693,653 287,399
         
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption.
Swap dollar volumes for current week, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.  
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. 
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Dollar Volume - Credit (Millions of USD)

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index 121,821 4,738 126,559
OTHER* 73 31,313 31,386
TOTAL 121,894 36,051 157,945
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche / Index 25,310 99,800 1,448 126,559
OTHER* 5,633 24,946 808 31,386
TOTAL 30,943 124,746 2,256 157,945
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
TOTAL* 142,285 36,499 101,503 35,604
         
* Includes index tranche, index, exotic, swaptions, and total return swap credit products.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche / Index 28,035 118,550 1,575 22,585 81,051 1,322
OTHER* 5,872 23,906 844 5,393 25,986 771
TOTAL 33,907 142,456 2,420 27,978 107,036 2,093
             
* Includes exotic credit products, swaptions, and total return swaps.
Swap dollar volumes for current week, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transactional Dollar Volume - FX (Millions of USD)

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 1,311 10,240,663 10,241,975
NDF 200,890 604,835 805,726
Options 6,377 414,172 420,549
Exotics 25 30,336 30,362
Cross Currency 673 60,980 61,654
TOTAL 209,277 11,350,988 11,560,264
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 9,472,498 801,564 370,289 24,663 60,785 10,729,800
EUROPE 5,149,291 47,536 108,972 7,920 28,373 5,342,092
EUR 2,965,155 24,125 89,782 6,883 18,423 3,104,368
GBP 1,278,942 13,448 13,610 960 5,150 1,312,110
CHF 387,180 7,608 3,160 43 2,139 400,130
OTHER2 518,014 2,354 2,420 34 2,661 525,484
AMERICAS/CARIBBEAN 743,573 161,409 63,897 540 9,053 978,472
CAD 578,906 5,443 24,344 134 7,233 616,061
BRL 321 78,009 21,912 331 142 100,715
OTHER3 164,345 77,957 17,641 75 1,678 261,696
ASIA/PACIFIC 3,294,181 589,696 185,397 11,678 22,947 4,103,899
JPY 1,747,742 18,358 49,142 3,352 10,794 1,829,387
CNY 329,670 33,652 56,862 2,031 1,208 423,423
KRW 33,372 119,038 14,971 1,314 467 169,162
HKD 157,197 2,120 1,642 0 88 161,047
AUD 533,519 10,209 19,692 1,585 7,697 572,701
OTHER4 492,680 406,319 43,088 3,396 2,694 948,178
OTHER5 285,454 2,924 12,023 4,526 412 305,338
EUR/non-USD 610,761 1,875 38,992 3,632 369 655,629
OTHER6 158,715 2,286 11,267 2,066 500 174,835
TOTAL 10,241,975 805,726 420,549 30,362 61,654 11,560,264
             
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other.
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK.
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS.
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB.
5 Regions within the Other category include the Middle East and Africa.
6 Category includes currency pairs without USD or EUR leg. 
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. 

FX by Product & Tenor (Calendar Days)

Product 0-7 8-30 31-90 91-180 180+ Total
Swaps & Forwards 6,633,295 1,295,534 1,377,452 713,368 222,326 10,241,975
NDF 52,199 397,255 205,322 112,852 38,097 805,726
Options 52,754 129,767 112,420 49,965 75,642 420,549
Exotics 1,360 5,085 11,653 3,593 8,671 30,362
Cross Currency 0 199 228 12,969 48,258 61,654
TOTAL 6,739,608 1,827,840 1,707,074 892,747 392,994 11,560,264
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 2,570 14,320,112 52 6,161,215
NDF 368,862 911,086 32,919 298,584
Options 12,754 632,265 0 196,079
Exotics 50 39,022 0 21,651
Cross Currency 1,137 92,466 210 29,495
TOTAL 385,373 15,994,951 33,181 6,707,024
         
These tables represent swap dollar volumes for new trades in the current week, broken down by product type, tenor, and cleared status. All numbers in the tables represent millions of USD. All tables include all participant types, tenors and currencies. For cleared swaps, these tables reflect only the legs held by the non-CCP counterparty.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Gross Notional Outstanding - All Tables (Millions of USD)

Gross Notional by Cleared Status

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 285,071,983 284,675,924 278,129,137 281,641,272 282,366,550
Cleared** 232,952,920 232,552,066 226,588,039 229,851,804 229,805,335
Uncleared 52,119,063 52,123,858 51,541,098 51,789,468 52,561,214
Total Credit 4,222,191 4,341,661 4,056,267 4,080,812 4,154,658
Cleared 2,174,070 2,220,067 2,222,522 2,196,785 2,202,967
Uncleared 2,048,122 2,121,594 1,833,744 1,884,026 1,951,691
Total FX 52,607,547 53,021,028 53,224,876 55,723,450 54,449,420
Cleared 1,267,524 1,276,863 1,356,468 1,388,232 1,401,084
Uncleared 51,340,022 51,744,164 51,868,408 54,335,218 53,048,336
TOTAL 341,901,721 342,038,612 335,410,279 341,445,533 340,970,627
           
Weekly snapshot, gross notional amount outstanding by asset class and cleared status (millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Gross Notional by Participant Type

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 570,143,966 569,351,847 556,258,274 563,282,543 564,733,100
SDs and MSPs** 421,984,795 419,976,886 408,279,788 413,715,996 414,075,195
Other 148,159,172 149,374,961 147,978,486 149,566,548 150,657,905
Total Credit 8,444,383 8,683,322 8,112,533 8,161,623 8,309,316
SDs and MSPs 5,666,570 5,819,341 5,524,103 5,574,100 5,657,499
Other 2,777,813 2,863,982 2,588,431 2,587,524 2,651,817
Total FX 105,215,093 106,042,055 106,449,752 111,446,899 108,898,839
SDs and MSPs 76,360,154 76,939,701 77,379,976 80,175,138 79,024,152
Other 28,854,939 29,102,354 29,069,775 31,271,761 29,874,687
TOTAL 683,803,442 684,077,225 670,820,559 682,891,066 681,941,255
           
Weekly snapshot, gross notional amount outstanding by asset class and participant type (millions of USD), all products, origins, currencies, tenors, and participant types, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. Because this table shows the aggregated notional values of swaps by participant, the totals on this table are twice those displayed on the "Gross Notional Outstanding by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 131,281,563 12,150,759 143,432,322
FRA 38,030,185 280,478 38,310,663
OIS 35,635,649 2,063,484 37,699,133
OTHER* 24,857,939 38,066,493 62,924,432
TOTAL 229,805,335 52,561,214 282,366,550
       
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 12,916,964 604,507 4,103,000 1,369,596 1,727,741 1,072,973 21,794,781
Fixed-Float 52,375,819 38,712,692 10,912,977 5,982,464 6,964,263 28,484,107 143,432,322
FRA 13,139,907 19,814,302 3,060,107 13,751 0 2,282,596 38,310,663
OIS 11,131,278 10,566,770 11,353,251 409,006 1,040,468 3,198,359 37,699,133
Swaption 10,019,659 4,705,592 3,351,621 673,650 209,744 161,941 19,122,206
OTHER* 11,044,991 6,039,539 2,645,698 98,397 50,568 2,128,251 22,007,445
TOTAL 110,628,619 80,443,402 35,426,654 8,546,864 9,992,784 37,328,227 282,366,550
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60+ Total
Basis 2,192,997 1,143,264 2,675,912 2,499,133 5,899,012 7,384,464 21,794,781
Fixed-Float 16,100,860 3,836,385 13,623,819 16,701,765 38,045,981 55,123,512 143,432,322
FRA 29,824,797 8,444,985 38,172 131 2,286 292 38,310,663
OIS 18,128,150 1,445,053 4,254,831 3,892,911 4,707,055 5,271,132 37,699,133
Swaption 128,169 3,329 5,216,670 2,616,542 3,780,515 7,376,981 19,122,206
OTHER* 1,155,010 346,522 4,487,299 2,092,648 5,320,826 8,605,140 22,007,445
TOTAL 67,529,983 15,219,540 30,296,702 27,803,130 57,755,675 83,761,520 282,366,550
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 189,798,851 14,264,651 72,764,274 10,036,867
FRA 63,893,531 318,233 12,166,839 242,724
OIS 45,722,046 2,261,527 25,549,251 1,865,442
OTHER* 41,348,303 56,468,054 8,367,576 19,664,932
TOTAL 340,762,731 73,312,464 118,847,940 31,809,965
         
* Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index 2,200,980 1,069,579 3,270,559
Asia 60,003 65,038 125,040
Europe 1,253,166 331,660 1,584,826
North America 851,635 616,151 1,467,786
Other 36,177 56,730 92,907
OTHER* 1,987 882,112 884,099
TOTAL 2,202,967 1,951,691 4,154,658
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche 63,466 152,670 0 216,136
Index 468,619 2,491,524 94,280 3,054,423
Asia 0 125,040 0 125,040
Europe 208,654 1,257,647 0 1,466,301
North America 259,964 1,108,837 3,779 1,372,580
Other 0 0 90,501 90,501
OTHER* 91,398 684,541 108,159 884,099
TOTAL 623,483 3,328,735 202,440 4,154,658
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
Index Tranche / Index / Other* 3,066,017 2,591,482 1,339,917 1,311,900
Asia 107,099 109,313 12,906 20,762
Europe 1,963,446 464,779 542,885 198,541
North America 948,130 885,280 755,141 347,022
Other 47,343 1,132,109 28,985 745,574
TOTAL 3,066,017 2,591,482 1,339,917 1,311,900
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche 95,927 219,056 0 31,006 86,284 0
Index 606,005 3,556,599 137,815 331,233 1,426,450 50,746
Asia 0 216,412 0 0 33,669 0
Europe 311,966 1,944,018 0 105,343 571,275 0
North America 294,039 1,396,168 5,046 225,890 821,506 2,512
Other 0 0 132,769 0 0 48,234
OTHER* 115,667 805,411 121,020 67,129 563,671 95,299
TOTAL 817,598 4,581,065 258,835 429,368 2,076,405 146,044
             
* Includes exotic credit products, swaptions, and total return swaps.

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 11,950 31,760,356 31,772,306
NDF 1,255,982 3,684,572 4,940,553
Options 65,398 5,633,271 5,698,669
Exotics 25 600,767 600,792
Cross Currency 67,729 11,369,370 11,437,099
TOTAL 1,401,084 53,048,336 54,449,420
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 28,707,154 4,883,984 4,958,174 404,935 10,903,172 49,857,419
EUROPE 14,416,742 154,217 1,824,415 118,661 5,799,360 22,313,395
EUR 7,834,390 84,606 1,487,656 99,865 3,383,353 12,889,870
GBP 4,294,327 42,621 204,578 13,529 1,855,665 6,410,721
CHF 988,023 17,211 106,437 3,925 271,398 1,386,993
OTHER2 1,300,001 9,779 25,743 1,342 288,945 1,625,810
AMERICAS/CARIBBEAN 2,658,778 1,056,186 617,313 21,700 1,118,841 5,472,818
CAD 1,996,640 25,089 285,574 12,754 796,148 3,116,206
BRL 2,951 530,378 175,942 5,760 13,195 728,226
OTHER3 659,187 500,719 155,797 3,186 309,498 1,628,386
ASIA/PACIFIC 10,807,139 3,649,029 2,289,913 109,937 3,744,023 20,600,042
JPY 5,019,554 49,674 866,717 36,815 1,953,780 7,926,540
CNY 1,478,199 165,775 591,240 35,498 110,926 2,381,639
KRW 116,293 829,437 86,115 2,702 79,907 1,114,454
HKD 500,493 5,159 117,882 83 134,333 757,950
AUD 1,951,854 26,873 212,445 13,908 1,032,696 3,237,777
OTHER4 1,740,746 2,572,111 415,514 20,931 432,380 5,181,682
OTHER5 824,495 24,551 226,533 154,637 240,948 1,471,165
EUR/non-USD 2,396,990 32,182 511,848 94,936 361,328 3,397,284
OTHER6 668,161 24,388 228,647 100,921 172,599 1,194,716
TOTAL 31,772,306 4,940,553 5,698,669 600,792 11,437,099 54,449,420
             
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other.
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK.
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS.
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB.
5 Regions within the Other category include the Middle East and Africa.
6 Category includes currency pairs without USD or EUR leg. 
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. 

FX by Product & Tenor (Calendar Days)

Product 0-30 31-90 91-180 181-360 360+ Total
Swaps & Forwards 6,406,270 9,563,122 8,147,796 4,371,980 3,283,138 31,772,306
NDF 1,079,975 1,650,374 1,040,113 680,320 489,771 4,940,553
Options 400,138 839,817 891,282 1,278,663 2,288,769 5,698,669
Exotics 40,399 94,602 83,507 112,491 269,793 600,792
Cross Currency 3,396 8,107 412,262 232,782 10,780,553 11,437,099
TOTAL 7,930,179 12,156,022 10,574,960 6,676,236 17,112,024 54,449,420
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 20,333 42,949,548 3,566 20,571,164
NDF 2,332,604 5,117,988 179,360 2,251,156
Options 130,796 8,758,669 0 2,507,872
Exotics 50 760,308 0 441,226
Cross Currency 89,415 18,864,441 46,043 3,874,300
TOTAL 2,573,198 76,450,954 228,969 29,645,718
         

Notes

Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Dollar Volume - All Tables (Millions of USD)

Dollar Volume by Cleared Status

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 6,199,661 7,521,013 8,504,983 10,005,017 2,881,737
Cleared** 5,401,264 6,629,396 7,400,537 8,997,618 2,515,897
Uncleared 798,397 891,617 1,104,445 1,007,399 365,840
Total Credit 200,728 253,193 303,964 189,502 157,945
Cleared 153,636 195,545 230,943 137,928 121,894
Uncleared 47,091 57,648 73,021 51,574 36,051
Total FX 9,699,846 11,437,630 11,577,580 10,701,709 11,560,264
Cleared 196,377 179,891 228,928 208,902 209,277
Uncleared 9,503,469 11,257,739 11,348,652 10,492,808 11,350,988
TOTAL 16,100,235 19,211,837 20,386,527 20,896,228 14,599,947
           
Weekly total, swap dollar volumes by asset class and cleared status (value of all trades in millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Dollar Volume by Participant Type

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 12,399,322 15,042,026 17,009,966 20,010,034 5,763,475
SDs and MSPs** 8,792,290 11,155,936 12,964,807 14,341,766 3,782,423
Other 3,607,032 3,886,090 4,045,159 5,668,268 1,981,051
Total Credit 401,455 506,387 607,928 379,003 315,890
SDs and MSPs 228,951 291,316 341,176 219,952 178,783
Other 172,504 215,071 266,753 159,051 137,107
Total FX 19,399,693 22,875,260 23,155,160 21,403,418 23,120,529
SDs and MSPs 14,179,368 17,040,268 17,249,884 15,017,796 16,380,324
Other 5,220,325 5,834,992 5,905,275 6,385,622 6,740,205
TOTAL 32,200,471 38,423,674 40,773,054 41,792,455 29,199,894
           
Weekly total, swap dollar volumes by asset class and participant type (value of all trades in millions of USD), all products and tenors, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Dollar Volume by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 1,736,990 130,829 1,867,819
FRA 104,898 3,587 108,485
OIS 549,147 47,681 596,828
OTHER* 124,862 183,743 308,605
TOTAL 2,515,897 365,840 2,881,737
       
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Fixed-Float 890,170 386,923 99,045 32,518 134,368 324,795 1,867,819
OTHER* 420,539 251,782 236,915 12,188 14,768 77,727 1,013,918
TOTAL 1,310,709 638,705 335,960 44,706 149,136 402,522 2,881,737
               
* Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60-120 120-360 360+ Total
Fixed-Float 368,133 134,293 401,215 218,024 384,248 297,977 62,570 1,359 1,867,819
OTHER* 447,284 44,692 117,795 121,285 132,289 121,460 28,549 564 1,013,918
TOTAL 815,418 178,985 519,010 339,309 516,537 419,437 91,118 1,923 2,881,737
                   
* Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 2,337,294 139,060 1,136,686 122,598
OTHER* 1,000,847 305,222 556,967 164,800
TOTAL 3,338,142 444,282 1,693,653 287,399
         
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index 121,821 4,738 126,559
OTHER* 73 31,313 31,386
TOTAL 121,894 36,051 157,945
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche / Index 25,310 99,800 1,448 126,559
OTHER* 5,633 24,946 808 31,386
TOTAL 30,943 124,746 2,256 157,945
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
TOTAL* 142,285 36,499 101,503 35,604
         
* Includes index tranche, index, exotic, swaptions, and total return swap credit products.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche / Index 28,035 118,550 1,575 22,585 81,051 1,322
OTHER* 5,872 23,906 844 5,393 25,986 771
TOTAL 33,907 142,456 2,420 27,978 107,036 2,093
             
* Includes exotic credit products, swaptions, and total return swaps.

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 1,311 10,240,663 10,241,975
NDF 200,890 604,835 805,726
Options 6,377 414,172 420,549
Exotics 25 30,336 30,362
Cross Currency 673 60,980 61,654
TOTAL 209,277 11,350,988 11,560,264
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 9,472,498 801,564 370,289 24,663 60,785 10,729,800
EUROPE 5,149,291 47,536 108,972 7,920 28,373 5,342,092
EUR 2,965,155 24,125 89,782 6,883 18,423 3,104,368
GBP 1,278,942 13,448 13,610 960 5,150 1,312,110
CHF 387,180 7,608 3,160 43 2,139 400,130
OTHER2 518,014 2,354 2,420 34 2,661 525,484
AMERICAS/CARIBBEAN 743,573 161,409 63,897 540 9,053 978,472
CAD 578,906 5,443 24,344 134 7,233 616,061
BRL 321 78,009 21,912 331 142 100,715
OTHER3 164,345 77,957 17,641 75 1,678 261,696
ASIA/PACIFIC 3,294,181 589,696 185,397 11,678 22,947 4,103,899
JPY 1,747,742 18,358 49,142 3,352 10,794 1,829,387
CNY 329,670 33,652 56,862 2,031 1,208 423,423
KRW 33,372 119,038 14,971 1,314 467 169,162
HKD 157,197 2,120 1,642 0 88 161,047
AUD 533,519 10,209 19,692 1,585 7,697 572,701
OTHER4 492,680 406,319 43,088 3,396 2,694 948,178
OTHER5 285,454 2,924 12,023 4,526 412 305,338
EUR/non-USD 610,761 1,875 38,992 3,632 369 655,629
OTHER6 158,715 2,286 11,267 2,066 500 174,835
TOTAL 10,241,975 805,726 420,549 30,362 61,654 11,560,264
             
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other.
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK.
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS.
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB.
5 Regions within the Other category include the Middle East and Africa.
6 Category includes currency pairs without USD or EUR leg. 
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. 

FX by Product & Tenor (Calendar Days)

Product 0-7 8-30 31-90 91-180 180+ Total
Swaps & Forwards 6,633,295 1,295,534 1,377,452 713,368 222,326 10,241,975
NDF 52,199 397,255 205,322 112,852 38,097 805,726
Options 52,754 129,767 112,420 49,965 75,642 420,549
Exotics 1,360 5,085 11,653 3,593 8,671 30,362
Cross Currency 0 199 228 12,969 48,258 61,654
TOTAL 6,739,608 1,827,840 1,707,074 892,747 392,994 11,560,264
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 2,570 14,320,112 52 6,161,215
NDF 368,862 911,086 32,919 298,584
Options 12,754 632,265 0 196,079
Exotics 50 39,022 0 21,651
Cross Currency 1,137 92,466 210 29,495
TOTAL 385,373 15,994,951 33,181 6,707,024
         

Notes

Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Transaction Ticket Volume - All Tables (Transactions)

Ticket Volume by Cleared Status

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 42,073 58,238 54,574 53,604 24,076
Cleared** 36,892 51,840 48,791 47,607 21,213
Uncleared 5,181 6,398 5,783 5,997 2,863
Total Credit 3,536 5,058 4,863 3,102 3,253
Cleared 3,155 4,592 4,358 2,675 2,848
Uncleared 381 466 505 427 405
Total FX 505,597 548,688 579,496 484,522 527,326
Cleared 30,532 31,286 32,567 32,241 29,241
Uncleared 475,065 517,402 546,929 452,280 498,085
TOTAL 551,205 611,984 638,933 541,228 554,655
           
Weekly total, swap ticket volumes by asset class and cleared status (number of new trades), all products, tenors, and participant types. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Ticket Volume by Participant Type

  May 07 May 14 May 21 May 28 June 04
Total Interest Rate* 84,145 116,475 109,148 107,208 48,151
SDs and MSPs** 56,056 79,074 75,004 73,200 30,169
Other 28,089 37,401 34,144 34,008 17,982
Total Credit 7,071 10,116 9,726 6,204 6,506
SDs and MSPs 4,092 5,912 5,698 3,761 3,925
Other 2,979 4,204 4,028 2,443 2,581
Total FX 1,011,194 1,097,376 1,158,992 969,043 1,054,652
SDs and MSPs 605,840 655,161 688,276 578,736 631,657
Other 405,354 442,215 470,716 390,307 422,995
TOTAL 1,102,410 1,223,967 1,277,866 1,082,455 1,109,309
           
Weekly total, swap ticket volumes by asset class and participant type (number of new trades), all products and tenors, cleared and uncleared. For cleared swaps, the creation of each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, each trade is attributed to both swap counterparties. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Ticket Volume by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Basis 316 26 342
Cap/Floor 0 87 87
Exotic 0 201 201
Fixed-Fixed 1 1 2
Fixed-Float 17,777 1,322 19,098
FRA 299 5 304
Inflation 388 26 414
OIS 2,430 250 2,680
Swaption 2 945 947
TOTAL 21,213 2,863 24,076
       

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 169 10 14 33 88 28 342
Cap/Floor 76 10 0 0 1 0 87
Exotic 141 20 4 3 5 28 201
Fixed-Fixed 0 0 0 0 0 2 2
Fixed-Float 6,118 3,880 419 406 1,553 6,723 19,098
FRA 16 18 199 0 0 71 304
Inflation 130 200 78 0 2 4 414
OIS 536 574 940 4 11 615 2,680
Swaption 695 127 33 39 37 16 947
TOTAL 7,882 4,839 1,687 485 1,697 7,487 24,076
               

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60-120 120-360 360+ Total
Basis 17 4 42 43 118 77 39 2 342
Cap/Floor 5 1 12 24 38 5 2 0 87
Exotic 24 17 35 6 60 34 24 1 201
Fixed-Fixed 1 0 0 1 0 0 0 0 2
Fixed-Float 1,100 298 1,314 2,100 6,401 5,762 2,067 57 19,098
FRA 261 40 2 0 0 0 1 0 304
Inflation 0 0 13 11 130 159 93 8 414
OIS 152 60 298 385 725 781 264 16 2,680
Swaption 16 0 42 75 109 335 370 0 947
TOTAL 1,576 420 1,758 2,644 7,581 7,152 2,860 84 24,076
                   

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 22,380 1,460 13,174 1,184
OTHER* 4,442 1,888 2,431 1,194
TOTAL 26,822 3,348 15,605 2,378
         
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, Inflation, OIS, and Swaption.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche 0 37 37
Europe / North America 0 37 37
Index 2,843 174 3,017
Europe / Other 1,214 25 1,239
North America / Asia 1,629 149 1,778
OTHER* 5 194 199
TOTAL 2,848 405 3,253
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche 24 13 0 37
Index 1,413 1,497 107 3,017
OTHER* 55 101 43 199
TOTAL 1,492 1,611 150 3,253
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
Index Tranche 0 38 0 36
Index 3,456 214 2,230 134
OTHER* 10 207 0 181
TOTAL 3,466 459 2,230 351
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche 25 13 0 23 13 0
Index 1,727 1,828 115 1,099 1,166 99
OTHER* 60 113 44 50 89 42
TOTAL 1,812 1,954 159 1,172 1,268 141
             
* Includes exotic credit products, swaptions, and total return swaps.

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 267 395,727 395,994
NDF 28,436 84,136 112,572
Options 504 12,069 12,572
Exotics 1 5,493 5,494
Cross Currency 34 660 694
TOTAL 29,241 498,085 527,326
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 309,804 110,360 11,162 4,134 647 436,106
EUROPE 142,924 734 2,474 1,862 215 148,209
EUR 61,806 258 1,801 1,089 143 65,097
GBP 38,659 164 505 766 44 40,138
CHF 12,896 132 89 2 5 13,124
OTHER2 29,563 180 79 5 23 29,850
AMERICAS/CARIBBEAN 33,569 18,255 2,143 85 125 54,177
CAD 20,718 80 1,066 34 44 21,942
BRL 64 7,703 488 11 2 8,268
OTHER3 12,787 10,471 589 40 79 23,966
ASIA/PACIFIC 110,488 90,957 6,071 952 292 208,760
JPY 24,237 184 1,421 474 85 26,401
CNY 20,164 1,318 996 55 60 22,593
KRW 891 23,861 305 36 17 25,110
HKD 5,738 77 29 0 4 5,848
AUD 22,108 142 1,325 271 80 23,926
OTHER4 37,350 65,375 1,996 116 46 104,882
OTHER5 22,822 414 474 1,235 15 24,960
EUR/non-USD 50,385 1,064 922 487 7 52,865
OTHER6 35,805 1,148 488 873 40 38,354
TOTAL 395,994 112,572 12,572 5,494 694 527,326
             
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other.
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK.
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS.
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB.
5 Regions within the Other category include the Middle East and Africa.
6 Category includes currency pairs without USD or EUR leg. 
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. 

FX by Product & Tenor (Calendar Days)

Product 0-7 8-30 31-90 91-180 180+ Total
Swaps & Forwards 158,959 126,117 61,616 37,420 11,883 395,994
NDF 5,271 33,808 57,331 13,511 2,650 112,572
Options 1,640 4,228 3,295 1,301 2,109 12,572
Exotics 74 627 1,184 1,097 2,512 5,494
Cross Currency 0 1 8 36 649 694
TOTAL 165,944 164,781 123,434 53,365 19,803 527,326
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 524 431,804 10 359,650
NDF 52,375 121,436 4,497 46,836
Options 1,007 17,238 0 6,900
Exotics 2 6,163 0 4,823
Cross Currency 54 1,055 14 265
TOTAL 53,962 577,695 4,521 418,474
         

Notes

Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes.
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.
2 See Explanatory Notes for cleared and uncleared descriptions.
3 See Explanatory Notes for currency descriptions.
4 See Explanatory Notes for tenor bucket descriptions.
5 See Explanatory Notes for participant type descriptions.
6 See Data Dictionary for grade descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].